I'm a Mexican citizen working for a US company
and delegated in Venezuela. So, I'm not an american
citizen, I don't live in the US

Since you're neither a US citizen nor a resident alien in the US, I'm not sure why your company should be withholding US taxes from your pay.

They did a process called a 'Hypo Tax calculation' and the result of this calculation is deducted from my paycheck. And this is a good amount of money. When I received my W2 form for the 99 period, (I haven't received the new one yet) it shows that I don't have any federal Taxes to pay. So I was instructed to NOT file a tax return form.

Your W2 does not show how much tax you owe, it shows how much money was withheld from your paychecks for US taxes. If you are not subject to US taxes, then you should file a return to get your money that was withheld refunded to you. You should also file for '99 if the '99 W2 shows that you had US taxes withheld. If you don't file, you won't get the money back, but I don't see why they were withholding them in the first place. Anybody have an explanation for this?

I have understood that, when you are abroad, some
tax excemptions applies when your total income
doesn't exceeds $70,000.00 a year. Does these
excemptions apply to foreigner workers too?

This applies to US taxpayers working abroad.

WTR